2017 Fiscal Year Final Research Report
News Shocks: Sectoral Comovement and Forward Guidance
| Project/Area Number |
15K17020
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Economic theory
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| Research Institution | Waseda University (2017)
Kyoto University (2015-2016) |
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Principal Investigator |
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| Project Period (FY) |
2015-04-01 – 2018-03-31
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| Keywords | 予期されたショック / 産業間の連動性 / 労働の非完全代替性 |
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| Outline of Final Research Achievements |
This study analyzes the impact of the anticipated shocks, where there are no changes in current fundamentals, but agents anticipate that fundamentals will be different in the near future, on the macroeconomic dynamics. To maintain consistency with empirical observations, it is important to correctly account for sectoral comovement. We propose a model and derive a condition for generating the sectoral comovement. In addition, our structural estimation reveals that labor immobility across sectors is the key mechanism. It turns out that the limited intersectoral factor mobility is also useful to account for business cycle fluctuations caused by uncertainty shocks. This new findings are summarized in another paper.
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| Free Research Field |
マクロ経済学
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